Authors:
Yusmita Kumala
;
Taufiq
and
Saadah Siddik
Affiliation:
Universitas Sriwijaya, Indonesia
Keyword(s):
Abnormal return, return on asset, debt to equity ratio, current ratio, inflation
Abstract:
This research was conducted to examine the impact of fundamental factors and inflation on abnormal return on service companies listed on the IDX. The aim of this research is to test and analyze the effect of fundamental factors and inflation on abnormal return on service companies listed in the Indonesia Stock Exchange in 2011 up to 2015. Dependent variables in this study are abnormal returns, while independent variables in this study are return on asset, debt to equity ratio,current ratio, and inflation as a control variable.The population of this research is a service company listed on the Indonesia Stock Exchange (IDX) in 2011- 2015. Total sample of this research is 87 companies determined by purposive sampling. The data were analyzed using the classic assumption test, multicollinearity test, normality test, heteroscedasticity test, data analysis using multiple linear regression, determination coefficient test (R2), statistical test t and statistical f test, and test the control v
ariable using covariance analysis.Partial test results (t test) indicate that return on assets, debt to equity ratio, current ratio have a significant positive effect on abnormal return. The test results together (f test) shows that return on assets, debt to equity ratio, current ratio together have an effect on abnormal return. While the results based on the results of covariance analysis, return on assets, debt to equity ratio, current ratio influenced by inflation control variables together become insignificant to abnormal returns.
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